Exploiting the partially separable structure in quasi-Newton optimization - Archive ouverte HAL
Communication Dans Un Congrès Année : 2022

Exploiting the partially separable structure in quasi-Newton optimization

Résumé

In this talk, we revisit how partially separable structure can be exploited to improve quasi-Newton methods in large-scale continuous optimization. The partially-separable structure as a sum of element functions can be automatically deduced from the expression graph of the objective function. Partitioned quasi-Newton methods approximate the Hessian of individual element functions, and preserve the assembled Hessian sparsity. Our method is matrix- and factorization free, and allows to combine several element functions together. By updating several element functions at each iterate, we obtain a finer approximation than with unstructured quasi-Newton updates. Our numerical results illustrate the fast convergence induced by high rank updates.
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Dates et versions

hal-04684439 , version 1 (02-09-2024)

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  • HAL Id : hal-04684439 , version 1

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Jean Bigeon, Dominique Orban, Paul Raynaud. Exploiting the partially separable structure in quasi-Newton optimization. JOPT 2022, May 2022, MOntréal, Canada. ⟨hal-04684439⟩
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